Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1541 |
| Annualized Std Dev | 0.2666 |
| Annualized Sharpe (Rf=0%) | 0.5778 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3699.0000 |
| NAs | 1.0000 |
| Minimum | -0.1053 |
| Quartile 1 | -0.0084 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0007 |
| Geometric Mean | 0.0006 |
| Quartile 3 | 0.0102 |
| Maximum | 0.1577 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0013 |
| Variance | 0.0003 |
| Stdev | 0.0168 |
| Skewness | 0.1067 |
| Kurtosis | 4.2509 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0119 |
| Gain Deviation | 0.0115 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.4052 |
| Historical VaR (95%) | -0.0262 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0250 |
| Modified ES (95%) | -0.0366 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2015-07-20 | 2016-02-11 | 2018-01-12 | -0.4052 | 628 | 144 | 484 |
| 2008-08-15 | 2008-11-21 | 2009-08-04 | -0.3983 | 244 | 70 | 174 |
| 2011-04-29 | 2011-11-25 | 2012-07-18 | -0.3404 | 308 | 147 | 161 |
| 2018-09-28 | 2018-12-24 | 2020-05-11 | -0.2805 | 406 | 60 | 346 |
| 2007-10-16 | 2008-03-17 | 2008-08-11 | -0.2202 | 207 | 105 | 102 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 2.4 | -1.8 | 0.7 | 0 | -1.5 | -0.8 | -0.4 | -1.5 |
| 2007 | 1.2 | -1.6 | 1.1 | 0 | 0.5 | -1 | -1.4 | 1.2 | 0.7 | -1.8 | 0.7 | -0.9 | -1.4 |
| 2008 | 1.9 | -1.8 | 3.6 | 2.2 | -0.4 | 1.3 | -1.8 | -0.6 | -0.5 | 2.3 | -5.7 | 2.3 | 2.6 |
| 2009 | -1.1 | -3.7 | -2.4 | -1 | 1 | -1.5 | -1 | -2.7 | -3.5 | -2.1 | 1.3 | -0.6 | -16 |
| 2010 | 1 | 5.8 | 1.2 | -1.7 | -1.1 | -2.2 | 0.8 | 3.1 | 0.2 | -0.5 | 1.5 | -0.5 | 7.5 |
| 2011 | 0.7 | -0.7 | 0.5 | -3.3 | -1.2 | 1.1 | -1.9 | -2.2 | -2 | -3 | 0.5 | 0.2 | -10.7 |
| 2012 | 2.7 | 1.5 | 0.8 | 0.1 | -3.1 | 2.5 | -1.4 | 0 | 0.7 | 2.4 | -0.4 | 1.7 | 7.5 |
| 2013 | 1.2 | 1.3 | -0.7 | -1.9 | -1.6 | 2.4 | 2.1 | -1.5 | 2.1 | 0.6 | 0.2 | -0.3 | 3.8 |
| 2014 | -1.5 | -2.2 | 2.5 | 0.7 | -0.6 | 2.2 | 0.2 | 1.6 | -1.4 | 0.2 | -1.1 | -0.4 | 0.2 |
| 2015 | -0.1 | -0.8 | -0.9 | 3.3 | -0.6 | -0.4 | 1.1 | -2.7 | 0.3 | -1.2 | 0.4 | -0.6 | -2.4 |
| 2016 | 0.1 | 5 | 2.7 | -2.4 | 0.6 | 2.5 | 2.4 | 0.3 | 1.2 | 1.3 | -2.1 | -0.7 | 11.2 |
| 2017 | 0.6 | 1.6 | 0.2 | 0.8 | 2.2 | -0.6 | -0.9 | 0.5 | 0.4 | -0.5 | 0.2 | -1.1 | 3.3 |
| 2018 | 0.7 | -1.4 | 0.2 | 1 | 1.6 | 1.9 | 0.6 | -0.1 | -0.6 | 4.7 | 0.7 | 2.3 | 11.9 |
| 2019 | 0.5 | 0.7 | 0.2 | -1.4 | -1.3 | 0.3 | 0.7 | -0.7 | -1.6 | 2.3 | -0.2 | 0.2 | -0.3 |
| 2020 | -1.3 | 1.6 | -3.1 | -2.7 | -0.1 | 1.2 | -1.9 | -2.2 | 0.8 | -0.8 | 1.2 | -0.8 | -7.9 |
| 2021 | 1.2 | 1.1 | 1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-23 19.9 SPY 124. -2.00e-4 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
2 2006-06-26 20.1 SPY 125. 4.40e-3 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
3 2006-06-27 20.0 SPY 124. -8.60e-3 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
4 2006-06-28 19.6 SPY 125. 6.80e-3 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
5 2006-06-29 20.3 SPY 127. 2.02e-2 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
6 2006-06-30 20.8 SPY 127. -3.00e-4 0.0224 -0.0117 -0.02 0.0675 0.291 0.0453 GLD 61.2 0.0287 0.0559
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
